Right after you glide across the water and rescue the second dragon (Devlin) you come to an area with a small fountain. You may see the blue thief up on a grassy spot.

You need to go up the steps under the arch to a small platform. (go rescue Alvar and he will tell you about the thief) From there turn around and glide back through the arch and swing around to the right and land on the lower grassy spot.

Jump up on to the high grass and follow the thief through the tunnel. When you come out you should see a cone shaped roof off to the left. There are two gems that mark the best place to jump from and glide to the roof. From there you should be able to glide to the last dragon.